Dow jones indexes to license 7 Market-Neutral indexes for 7 new ETF

The new family of quantitative-strategy indexes — all launched today — reflect the performance of long/short strategies and are designed to be both market and sector neutral. Below, is a list of the indexes licensed to underlie QuantShares ETFs:

The Dow Jones U.S. Thematic Market Neutral Beta Index reflects the performance of an investment strategy that is long high beta companies and short low beta companies;

The Dow Jones U.S. Thematic Market Neutral Anti-Beta Index reflects the performance of an investment strategy that is short on high beta companies and long on low beta companies;

The Dow Jones U.S. Thematic Market Neutral Momentum Index reflects the performance of an investment  strategy that is long on high momentum companies and short on low momentum companies;

The Dow Jones U.S. Thematic Market Neutral Anti-Momentum Index reflects the performance of an investment strategy that is short on high momentum companies and long on low momentum companies;

The Dow Jones U.S. Thematic Market Neutral Quality Index reflects the performance of an investment strategy that is long on high quality companies and short on low quality companies, with quality assessed based on fundamentals;

The Dow Jones U.S. Thematic Market Neutral Value Index reflects the performance of an investment strategy that is long on value companies and short on growth companies; and

The Dow Jones U.S. Thematic Market Neutral Size Index reflects the performance of an investment strategy that is long on small-cap companies and short on large-cap companies.

“The Dow Jones U.S. Thematic Market Neutral Indexes offer a representation of sophisticated long/short strategies and provide a solid basis for a variety of alternative equity,” said Michael A. Petronella, President, Dow Jones Indexes.”

With today’s announcement, Dow Jones Indexes has now licensed a total of 21 indexes to underlie ETFs so far in 2011 (versus 19 in the comparable year-ago period) to firms including Blackrock, State Street Global Advisors and Charles Schwab. 

The Dow Jones U.S. Thematic Market Neutral Indexes series is based on a rules-based, published index methodology. The index universe for the Dow Jones U.S. Thematic Market Neutral Indexes is comprised by all stocks in the Dow Jones U.S. Index, which aims to provide 95% market-capitalization coverage of U.S. traded stocks. The largest 1,000 stocks with the highest total market capitalization in the Dow Jones U.S. Index constitute the universe of eligible companies for the market-neutral indexes. (Stocks with a six-month average daily trading volume of less than $10 million are excluded.)

The other key index elements are:

Stocks in the eligible universe are segmented into 10 industries as defined by the proprietary classification system used by Dow Jones Indexes;

Sector neutrality is maintained within each index by allowing a proportionate number of stocks based on the sector composition of the top 1,000 stocks;

The indexes are rebalanced after the close of trading on the last business day of each month; and

Each Dow Jones U.S. Market Neutral Thematic Index is equally weighted.